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The Lucas Critique and the Volcker Deflation

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Olivier J. Blanchard

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Abstract

This paper examines, in light of the Lucas Critique, the behavior of the Phillips curve and of the term structure of interest rates after October 1979. It starts with an informal account of the policy change and then discusses how we might expect these two relations to shift after such a change. It finds little evidence of a direct effect of the policy change on the Phillips curve, at least until 1982. It finds substantial evidence of a direct effect on term structure.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 1326.

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Date of creation: Apr 1984
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Publication status: published as Blanchard, Olivier J. "The Lucas Critique and the Volcker Deflation." American Economic Review, Vol. 74, No. 2, (May 1984), pp. 211-215.
Handle: RePEc:nbr:nberwo:1326

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  1. Andrew Haldane, . "Some Issues in Inflation Targeting," Bank of England working papers 74, Bank of England. [Downloadable!]
  2. J. Peter Ferderer, 1999. "The Credibility of the Federal Reserve's Monetary Targets," Macroeconomics 9903006, EconWPA. [Downloadable!]
  3. Preston J. Miller & Richard M. Todd, 1992. "Real effects of monetary policy in a world economy," Staff Report 154, Federal Reserve Bank of Minneapolis. [Downloadable!]
  4. Peter A.G. VanBergeijk & Jan Marc Berk, . "The Lucas Critique in Practice: An Empirical Investigation of the Impact of European Monetary Integration on the Term Structure," IEW - Working Papers iewwp082, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  5. Frederic S. Mishkin, 1984. "The Causes of Inflation," NBER Working Papers 1453, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Michael Bordo & Christopher Erceg & Andrew Levin & Ryan Michaels, 2007. "Three Great American Disinflations," CFS Working Paper Series 2007/05, Center for Financial Studies. [Downloadable!]
    Other versions:
  7. Chan G. Huh & Kevin J. Lansing, 1998. "Expectations, credibility, and disinflation in a small macroeconomic model," Working Papers in Applied Economic Theory and Econometrics 98-01, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  8. Sharon Kozicki & P.A.Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City. [Downloadable!]
    Other versions:
  9. N. Gregory Mankiw & Jeffrey A. Miron & David N. Weil, 1987. "The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve," NBER Working Papers 2124, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Frederic S. Mishkin, 1990. "Yield Curve," NBER Working Papers 3550, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Cara S. Lown & Robert W. Rich, 1997. "Is there an inflation puzzle?," Research Paper 9723, Federal Reserve Bank of New York. [Downloadable!]
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  12. Chan G. Huh & Kevin J. Lansing, 1998. "Federal Reserve credibility and inflation scares," Economic Review, Federal Reserve Bank of San Francisco, pages 3-16. [Downloadable!]
  13. SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1). [Downloadable!] (restricted)
  14. Adrian W. Throop, 1991. "Fiscal policy in the Reagan years: a burden on future generations?," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 3-23. [Downloadable!]
  15. Frederic S. Mishkin, 1990. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Craig Ebert, 1994. "The yield curve as an indicator of monetary conditions," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 57, March. [Downloadable!]
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